I'd just add this, when looking at returns of asset classes have to look at the valuations at start and end The DFA micro fund was created right at the tail end of the "small cap bubble" when small caps outperformed large by massive margin from 75-83,a bout 14% a year for that 9 years. Sin...

Unfortunately Vanguard's small cap fund used to be tied to the R2k, an awful index which underperformed by something like 2% a year because it was easily exploited Here's data for live period 1/82-6/15 which is now over 30 years and of course includes trading costs and fund fees-- DFA Micro cap 12.2...

nedsaid the strategies you are employing is virtually identical to what the research suggests is the "right" way---combining momentum with value as they are naturally negatively correlated. And it's what AQR value/mom/profitability funds do. In fact we are now using AQR large multi style f...

nedsaid I cannot account for Siegel, only guessing he is promoting his Wisdom Tree funds which have dividend bent. As to the white paper, there is already a ton of evidence that yes like all metrics that include price, be it p/b, p/e, p/s, p/cf, p/d has some explanatory power as a VALUE strategy. Bu...

two things, then I'm done on this Naha Amazing --I have never bashed dividend paying stocks. In fact I have repeatedly said that the dividend is irrelevant (neither good nor bad) in expected returns. I have pointed out that focusing on dividends has two negatives. The first is reduced diversificatio...

fwiw, while the returns to factors are unstable, just as the return to the beta factor itself is unstable, for passive funds their exposure to factors is generally fairly stable, unless the fund alters its construction rules. DFA for example has altered its rules from time to time, incorporating mom...

Nedsaid [url]I want to point out that Large Value has been doing terrible lately[/url] All I can say is you and I disagree on definition of exaggeration. I already gave answer on High dividend strategy, it has much larger exposure to the quality factor, which as I also explained has nothing to do wi...

Nedsaid Well me thinks you exaggerate a bit. 1/10-6/15 Russell 1000 value underperformed R1k by just 60bp, so terrible? As to dividend growth, it's a QUALITY/PROFITABILITY strategy, in indirect way. Just as dividend is indirect way to value, though even high div is the worst of the value factors in ...

btw-in general it should be surprising that dividend payers underperform as theory says there should be no difference in expected returns----remember any investor can create their own dividend by selling shares and any investor in dividend payer can undo the dividend. It's just that the investor &qu...

Nirav As to your three points, first, there is simply no logic to a "dividend" strategy, not in financial theory. Dividends are not a factor in returns, though indirectly they MAY indicate exposure to other factors (such as quality/profitability, or at one time value). Second, it's not fiv...

two points, Nisi, yes I very much disagree with those two, with EM bonds being the one I have the most disagreement with. Note I have disagreed with some of Malkiel's other recommendations (though I have the highest regards for him) especially to invest in China which he has argued for (making the m...

One thing to keep in mind you can improve the returns of the non div payers by simply applying some screens to kick out the lottery stocks, those penny stocks and growth stocks with low/no profitability. Larry

Late Starter I don't have any particular definition. What the research finds is that IN GENERAL the less frequently one looks the better they do But if you look every day and it doesn't impact your activity that wouldn't matter---but that would make you the unusual person. So it really depends on th...

Fig, My pleasure and glad you found it helpful. Just simple thought to consider. If you don't check values you are far less likely to be tempted to trade (sell) and we know inactivity (other than tax loss harvesting and rebalancing) is better than activity. Note not only is the pain of a loss on ave...

Nisi Sorry been traveling and just got back from two weeks in Ireland on Tauck tour. Few comments., First we looked at 3 passive small value funds so it should not be surprising that given their construction rules you would get high and significant loadings on the three factors of beta, size and val...

MAYNARD We agree completely that hedge funds are not an asset class, they are a compensation scheme With that said the data very much disagrees with you on returns, adjusted for risks, in fact typical hedge funds have high risks as they don't really hedge anything. Basically as group results are sim...

Taylor asked me about biases in the data on hedge funds, specifically due to self reporting. So thought I would post a general response. To begin self reporting can work to ways. Those that have poor returns will likely choose not to report while those with great returns and don't want new money may...

FWIWI speak regularly to groups at Tiger 21 a group of very high net worth investorsMany of told me they invest in Renaissance Technology funds that have been set up separate from the fund that manages their personal assets and not one did well at all. Larry

http://www.etf.com/sections/index-investor-corner/swedroe-truth-about-carry-trade?nopaging=1 hope you find this of interest --the carry trade is one of the best documented strategies, going back decades as strategy and research shows why it is expected to work, just like with stocks there's a risk ...

nisithe tstat for each fund was significant, when you have more than one fund you have tstats, plural -one tstat for each fundthought that sure have been very clear, have written that language hundreds of times and no one ever had any confusionLarry

active funds serve a clear social value, setting prices and keeping markets efficient and thus capital allocated efficiently. only issue is question of is the cost worth the social benefits? Most structured notes serve no social purpose at all, as same objective can be accomplished by buyer at lower...

m personal definition of passive is that active involves judgment leading to individual security selection while passive is systematic process that is repeatable and doesn't involve judgment. So by that definition DFA, AQR, Bridgeway, Wisdom Tree, RAFI are all passive. Fama's definition was no indiv...

http://www.etf.com/sections/index-investor-corner/swedroe-high-frequency-trading-price-efficiency?nopaging=1 Way too much negative press about the HFTs, though some simple solutions are available to address the abuses that do occur--such as must leave a bid or offer outstanding for X period of time...

So many investors and I have found even professional advisors don't consider the non financial assets when developing investment plans http://www.etf.com/sections/index-investor-corner/swedroe-remember-nonfinancial-assets?nopaging=1 Hope you find this of interest Note if want to read about the issue...

First, this study only confirms what studies going back to 1900 have found, so the short period is supported by the VERY long term evidence. Second, to answer Jimkinny's question,if you can successfully forecast faster than expected GNP growth it's possible you could benefit, but not for sure becaus...

http://www.etf.com/sections/index-investor-corner/swedroe-high-growth-countries-no-sure-thing no different than with individual stocks, the expected growth in earnings is already built into prices. Hope you find this helpful, it's an issue I continually have to address with clients/investors Larry

In case any of you are interested there has been a UK version of Think, Act, and Invest Like Buffet in the works and finally set to go to printers and should be available within a few weeks. It was done in coordination with the folks at Barnett Ravenscroft Wealth Management, who also work with Sensi...